反射CEV模型与可违约债券定价  

Reflected CEV Processes and Pricing of Defaultable Bonds

作　　者：崔伶俐[1] 

机构地区：[1]西安电子科技大学理学院,陕西西安710071

出　　处：《电子科技》2013年第12期23-26,共4页Electronic Science and Technology

摘　　要：研究反射不变弹性方差(CEV)过程框架下,违约回复率的建模及可违约债券风险中性价格函数的级数表示形式。进一步给出了一类特殊反射CEV过程情形:反射布朗运动下的解析价格函数。最终以反射布朗运动为例,数值说明了可违约债券风险中性价格函数随违约的回复率及强度的变化趋势。The modeling of default recovery rate and the series representation of the risk-neutral price function of the defauhable bonds under the reflected constant elasticity of variance （CEV） processes are studied. An example related to the reflected Brownian motion is presented as a special case of the reflected CEV processes. Numerical illustrations of the risk-neutral price function of defaultable bonds with respect to the default recovery rate and the default intensity are discussed respectively when the default recovery rate is described as a reflected Brownian mo- tion.

关 键 词：CEV过程 反射 违约回复率 可违约债券 价格函数 

分 类 号：F830.9[经济管理—金融学]